You're reading from Python for Algorithmic Trading Cookbook Recipes for designing, building, and deploying algorithmic trading strategies with Python

Product type Paperback

Published in Aug 2024

Publisher Packt

ISBN-13 9781835084700

Length 404 pages

Edition 1st Edition

Languages

Python

Tools

Zipline

Concepts

Data Analysis

Author (1):

Jason Strimpel

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Table of Contents (16) Chapters

Preface

1. Chapter 1: Acquire Free Financial Market Data with Cutting-Edge Python Libraries FREE CHAPTER

2. Chapter 2: Analyze and Transform Financial Market Data with pandas

3. Chapter 3: Visualize Financial Market Data with Matplotlib, Seaborn, and Plotly Dash

4. Chapter 4: Store Financial Market Data on Your Computer

5. Chapter 5: Build Alpha Factors for Stock Portfolios

6. Chapter 6: Vector-Based Backtesting with VectorBT

7. Chapter 7: Event-Based Backtesting Factor Portfolios with Zipline Reloaded

8. Chapter 8: Evaluate Factor Risk and Performance with Alphalens Reloaded

9. Chapter 9: Assess Backtest Risk and Performance Metrics with Pyfolio

10. Chapter 10: Set Up the Interactive Brokers Python API

11. Chapter 11: Manage Orders, Positions, and Portfolios with the IB API

12. Chapter 12: Deploy Strategies to a Live Environment

13. Chapter 13: Advanced Recipes for Market Data and Strategy Management

14. Index

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Executing orders with the IB API

In Chapter 10, Set Up the Interactive Brokers Python API, we created contract and order objects. Using these, we can use the IB API to execute trades. But before we can execute trades, we have to understand the concept of the next order ID.

The next order ID (nextValidOrderId) is a unique identifier for each order. Since up to 32 instances of a trading app can run in parallel, this identifier makes sure individual orders are traceable within the trading system. nextValidOrderId is used to preserve order integrity and prevent overlap between multiple orders submitted simultaneously or in rapid succession. When our trading app connects to the IB API, it receives an integer variable called nextValidOrderId from the server that is unique to each client connection to TWS. This ID must be used for the first order submission. Subsequently, we are responsible for incrementing this identifier for each new order.